tor is not that difficult to set up. Most distros package it these days and if you install a GUI front end for tor, such as vidalia, it will pull in everything you need (tor and polipo) as dependencies.

It's then a matter of setting up your browser to point to the proxy - there are many tutorials and guides for this for various browsers/platforms online.

firefox's private browsing mode is private in the sense that your family or other users can't see what kind of pr0n you're into... it is not private in the sense of "anonymous browsing".